## Interface FxForwardRates

• All Superinterfaces:
MarketDataView, ParameterizedData
All Known Implementing Classes:
DiscountFxForwardRates

public interface FxForwardRates
extends MarketDataView, ParameterizedData

This provides forward rates for a single pair, such as 'EUR/GBP'. The forward rate is the conversion rate between two currencies on a fixing date in the future.

• ### Method Summary

All Methods
Modifier and Type Method Description
MultiCurrencyAmount currencyExposure​(FxForwardSensitivity pointSensitivity)
Calculates the currency exposure from the point sensitivity.
CurrencyPair getCurrencyPair()
Gets the currency pair.
LocalDate getValuationDate()
Gets the valuation date.
CurrencyParameterSensitivities parameterSensitivity​(FxForwardSensitivity pointSensitivity)
Calculates the parameter sensitivity from the point sensitivity.
double rate​(Currency baseCurrency, LocalDate referenceDate)
Gets the forward rate at the specified payment date.
double rateFxSpotSensitivity​(Currency baseCurrency, LocalDate referenceDate)
Calculates the sensitivity of the forward rate to the current FX rate.
PointSensitivityBuilder ratePointSensitivity​(Currency baseCurrency, LocalDate referenceDate)
Calculates the point sensitivity of the forward rate at the specified payment date.
FxForwardRates withParameter​(int parameterIndex, double newValue)
Returns a copy of the data with the value at the specified index altered.
FxForwardRates withPerturbation​(ParameterPerturbation perturbation)
Returns a perturbed copy of the data.
• ### Methods inherited from interface com.opengamma.strata.market.MarketDataView

findData
• ### Methods inherited from interface com.opengamma.strata.market.param.ParameterizedData

findParameterIndex, getParameter, getParameterCount, getParameterMetadata
• ### Method Detail

• #### getCurrencyPair

CurrencyPair getCurrencyPair()
Gets the currency pair.

The the currency pair that the forward rates are for.

Returns:
the currency pair
• #### getValuationDate

LocalDate getValuationDate()
Gets the valuation date.

The raw data in this provider is calibrated for this date.

Specified by:
getValuationDate in interface MarketDataView
Returns:
the valuation date
• #### withParameter

FxForwardRates withParameter​(int parameterIndex,
double newValue)
Description copied from interface: ParameterizedData
Returns a copy of the data with the value at the specified index altered.

This instance is immutable and unaffected by this method call.

Specified by:
withParameter in interface ParameterizedData
Parameters:
parameterIndex - the zero-based index of the parameter to get
newValue - the new value for the specified parameter
Returns:
a parameterized data instance based on this with the specified parameter altered
• #### withPerturbation

FxForwardRates withPerturbation​(ParameterPerturbation perturbation)
Description copied from interface: ParameterizedData
Returns a perturbed copy of the data.

The perturbation instance will be invoked once for each parameter in this instance, returning the perturbed value for that parameter. The result of this method is a new instance that is based on those perturbed values.

This instance is immutable and unaffected by this method call.

Specified by:
withPerturbation in interface ParameterizedData
Parameters:
perturbation - the perturbation to apply
Returns:
a parameterized data instance based on this with the specified perturbation applied
• #### rate

double rate​(Currency baseCurrency,
LocalDate referenceDate)
Gets the forward rate at the specified payment date.

The exchange rate of the currency pair varies over time. This method obtains the estimated rate for the payment date.

This method specifies which of the two currencies in the currency pair is to be treated as the base currency for the purposes of the returned rate. If the specified base currency equals the base currency of the currency pair, then the rate is simply returned. If the specified base currency equals the counter currency of the currency pair, then the inverse rate is returned. As such, an amount in the specified base currency can be directly multiplied by the returned FX rate to perform FX conversion.

To convert an amount in the specified base currency to the other currency, multiply it by the returned FX rate.

Parameters:
baseCurrency - the base currency that the rate should be expressed against
referenceDate - the date to query the rate for
Returns:
the forward rate of the currency pair
Throws:
RuntimeException - if the value cannot be obtained
• #### ratePointSensitivity

PointSensitivityBuilder ratePointSensitivity​(Currency baseCurrency,
LocalDate referenceDate)
Calculates the point sensitivity of the forward rate at the specified payment date.

This returns a sensitivity instance referring to the points that were queried in the market data. The sensitivity refers to the result of rate(Currency, LocalDate).

Parameters:
baseCurrency - the base currency that the rate should be expressed against
referenceDate - the date to find the sensitivity for
Returns:
the point sensitivity of the rate
Throws:
RuntimeException - if the value cannot be obtained
• #### rateFxSpotSensitivity

double rateFxSpotSensitivity​(Currency baseCurrency,
LocalDate referenceDate)
Calculates the sensitivity of the forward rate to the current FX rate.

This returns the sensitivity to the current FX rate that was used to determine the FX forward rate. The sensitivity refers to the result of rate(Currency, LocalDate).

Parameters:
baseCurrency - the base currency that the rate should be expressed against
referenceDate - the date to find the sensitivity for
Returns:
the sensitivity of the FX forward rate to the current FX rate
Throws:
RuntimeException - if the value cannot be obtained
• #### parameterSensitivity

CurrencyParameterSensitivities parameterSensitivity​(FxForwardSensitivity pointSensitivity)
Calculates the parameter sensitivity from the point sensitivity.

This is used to convert a single point sensitivity to parameter sensitivity.

Parameters:
pointSensitivity - the point sensitivity to convert
Returns:
the parameter sensitivity
Throws:
RuntimeException - if the result cannot be calculated
• #### currencyExposure

MultiCurrencyAmount currencyExposure​(FxForwardSensitivity pointSensitivity)
Calculates the currency exposure from the point sensitivity.

This is used to convert a single point sensitivity to currency exposure.

Parameters:
pointSensitivity - the point sensitivity to convert
Returns:
the currency exposure
Throws:
RuntimeException - if the result cannot be calculated